Method and apparatus for creating and administering a publicly traded interest in a commodity pool

ABSTRACT

Systems, methods, apparatus, computer program code and means for creating and administering a publicly traded interest in a commodity pool include forming a commodity pool having a first position in a futures contract and a corresponding second position in a margin investment, and issuing equity interests of the commodity pool to third party investors.

This application is a continuation of, and claims benefit and priorityof, copending U.S. Ser. No. 10/827,940 entitled “Method and Apparatusfor Creating and Administering a Publicly Traded Interest in a CommodityPool” filed on Apr. 20, 2004.

BACKGROUND

A number of innovative new securities products have been introduced overthe years. For example, the introduction of a variety of novel types ofmutual funds have allowed investors to participate in diversifiedportfolios of equities, bonds, and other securities. More recently,Exchange Traded Funds (“ETF”) have been introduced. Generally, an ETF isa fund that tracks an index, but can be traded in the market like astock. Investors can trade shares of an ETF like stocks and can use thesame strategies in trading ETFs that traditionally have been used withrespect to stocks, such as selling short, buying and holding for thelong term, etc. Because ETFs are traded on stock exchanges, they can bebought and sold at any time during the day (unlike most mutual funds)and their price may fluctuate from moment to moment, just like any otherstock's price. Investors will also need licensed brokers in ordertransact in purchase them, which means that a commission will usually becharged.

Unfortunately, ETFs have not, to date been structured to allow aninvestor to invest in commodities or futures. Currently, investors maymake pooled investments in commodities by purchasing interests in“commodity pools,” which are similar to mutual funds except that theyare primarily engaged in investing and trading in futures contracts oroptions on futures, rather than securities. In some situations,commodity pools have been created in which shares were offered to thepublic (i.e., shares in the pool were registered under the U.S.Securities Act of 1933). These commodity pools provide desirablebenefits to the investors who participate; unfortunately, however, theydo not provide a mechanism for shares to be publicly traded. It would bedesirable to provide an ability to publicly trade commodities using alisted equity. More particularly, it would be desirable to provide aninterest in a commodity pool that is publicly traded and listed on asecurities exchange.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 is a block diagram illustrating components of a commodity pooltransaction consistent with some embodiments.

FIG. 2 is a flow diagram illustrating an exemplary process for creatinga publicly traded interest in a commodity pool consistent with someembodiments.

FIG. 3 is a block diagram illustrating components of a further commoditypool transaction consistent with some embodiments.

FIG. 4 is a flow diagram illustrating an exemplary process for creatinga publicly traded interest in a commodity pool consistent with someembodiments.

FIG. 5 is a block diagram of a system pursuant to some embodiments.

FIG. 6 is a block diagram of an administrator device pursuant to someembodiments.

DETAILED DESCRIPTION

According to some embodiments, systems, methods, apparatus, computerprogram code, and means are provided for creating and administering apublicly traded interest in a commodity pool. Briefly and by way ofintroduction, features of some embodiments allow the creation ofpublicly traded interests in commodity pools. That is, in someembodiments, equity interests associated with a commodity pool may beoffered to the public and listed, on a national securities exchange toallow trade in the secondary market.

For the purpose of explaining features of some embodiments, a number ofterms are used herein. For example, as used herein, the term “commodity”or “futures contracts” generally refers to a product that trades on acommodity exchange; this would also include futures contracts, andoptions on futures contracts, on foreign currencies and financialinstruments, and indexes of physical commodities. As used herein, theterm “commodity” also refers to other financial or non-financial assetsthat, although not currently the subject of futures traded on commodityexchanges, may be traded on commodity exchanges in the future. Ingeneral, for the purpose of creating publicly traded interests in acommodity pool pursuant to embodiments of the present invention, it ispreferable that the commodity be one on which there is an active marketin related futures contracts. As used herein, the term “futures” or“futures contracts” are used to refer to standardized, transferable,exchange-traded contracts that require delivery of a commodity,commodity(s) or commodity index(es) at a specified price, on a specifiedfuture date, or the payment of a cash settlement amount (e.g., against aprice index of spot delivery).

As used herein, a “commodity pool” is an entity, typically in the formof a limited partnership, trust, corporation or limited liabilitycompany, operated for the purpose of trading commodity futures or optioncontracts. For example, for embodiments implemented in the UnitedStates, a “commodity pool” may be a commodity pool as defined andregulated under the Commodity Exchange Act (“CEA”). Those skilled in theart will appreciate that for embodiments implemented in otherjurisdictions, commodity pools may be defined and regulated under otherregulatory schemes. In general, attributes of commodity pools and theparticular types of pools used herein will be described further below.

Prior to a detailed discussion of some embodiments, a brief illustrativeexample will now be presented to aid in understanding features of someembodiments of the present invention. This example is not limiting;other implementations are contemplated. In the illustrative example, anentity (such as a financial institution) wishes to establish a publiclytraded security in a vehicle the assets of which are linked to theprices of a commodity or group of commodities, thereby allowinginvestors to buy and sell shares on a public (or national securities)exchange that closely track variations in the prices of the commodities.In the example, the entity chooses to establish a publicly tradedsecurity based on the Goldman Sachs Commodity Index®.

The entity causes the formation of a commodity pool. The commodity poolinvests in long-dated futures contracts on the Goldman Sachs CommodityIndex. In the example, the futures contracts have a maturity of five (5)years and specify a payout at expiration based on the value of theGoldman Sachs Commodity Index. The commodity pool also establishes aposition in Treasury securities (or the like) as a margin investment.The margin investment is 100% of the futures investment, and thesecurities are deposited with the pool's futures commission merchant.

Upon receipt of specified funds from an investor to enable the pool toinvest in futures contracts and Treasury securities as described above,the pool issues one or more “creation units” to the investor. A pool maybe structured such that each creation unit constitutes, for example,100,000 publicly traded shares. The initial issue price per share ofeach creation unit will depend on the number of contracts in the pooland the price of the underlying index at the time of issuance. In theexample, assume that the underlying index is at 500 and the long-datedfutures contract is at 525 (where each point change in price is $100 perpoint). In this example, the shares issued in a creation unit pursuantto the present invention will trade at around $52.5 each (calculated as$100/point*100,000*future's price).

In some embodiments, the price per share may also reflect an expenseratio (which may be accrued on a daily basis or in some other manner).The shares in a creation unit are issued for public trade, and may betraded on a national securities exchange. As additional creation unitsare issued (or as creation unit redemptions occur), the commodity poolincreases or decreases the size of its position in the futures contractsand Treasury securities as needed.

Investors may thus publicly-trade shares that closely reflect the priceof an underlying commodity or commodity index. Market makers are able toarbitrage this new security against the underlying commodity or index(or related futures contract), thereby ensuring the security is tradingclose to the asset value. In this manner, a measure of reassurance isprovided that the security is trading at (or near) its fair value.Further, the security may be priced intraday, allowing substantial pricetransparency. Further still, in some embodiments, no physical redemptionin kind is needed. In some embodiments, futures positions will bedelivered upon redemption. Other features and advantages will beapparent to those skilled in the art.

Features of embodiments will be described by first referring to FIG. 1,where a block diagram depicts portions of a commodity pool transaction100 consistent with some embodiments. As depicted, commodity pooltransaction 100 includes interaction between a number of parties,devices or entities. As shown, the transaction involves a commodity pool110 formed to establish and hold a commodity position 118 and acorresponding margin position 116. Equity interests in the commoditypool 110 are offered to the public and listed on an exchange 120allowing trade in the secondary market by a plurality of investors 124.

Pursuant to some embodiments, commodity pool 110 is established with apool operator. For example, in embodiments implemented subject to U.S.regulatory authority, the pool operator may be a so-called commoditypool operator (“CPO”) registered under the CEA. In general, as usedherein, a CPO may be an individual or firm that is responsible for theoperation of a commodity pool. Pursuant to some embodiments, the CPOrefers to a general partner or managing member of a commodity poolestablished pursuant to the present invention. Further, commodity pool110 may be advised by an advisor such as a so-called commodity tradingadvisor (“CTA”) registered and regulated under the CEA. In general, bothcommodity pools 110 are formed to comply with the relevant regulatoryauthority applicable to commodity pools.

In some embodiments, commodity pool 110 is organized as a limitedliability entity such as, for example, a limited partnership. In someembodiments, commodity pool 110 is formed to qualify for pass-throughtax treatment. In some embodiments, in addition to the issuance ofequity interests to the public, equity interests are also issued to, andare redeemable by, at least one other entity serving as the CPO, generalpartner or managing member.

Pursuant to some embodiments, in order to track the performance of acommodity, commodities or commodities index, commodity pool 110 isformed to invest solely in commodities future contracts (as well ascorresponding margin investments, e.g., in Treasury securities or thelike). That is, commodity position 118 may be a position in a singlecommodity, a number of commodities, or a commodities index. In someembodiments, commodity position 118 is a position in a long-datedfutures contract on a commodity index and traded on a designatedcontract market. For example, in the U.S., the commodity index is tradedon a market such as the Chicago Mercantile Exchange, the New YorkMercantile Exchange, or the like.

For example, commodity position 118 may be a futures contract having amaturity of approximately five (5) years which provides for a payout atexpiration based on the value of the specified index (for example, theGoldman Sachs Commodity Index®, other proprietary index or the like, ora specially created index). The commodity pool's position in the futurescontract may be subject to a 100% initial margin requirement. Commoditypool 110 may satisfy this margin requirement by establishing marginposition 116. For example, in some embodiments, commodity pool 110satisfies this margin requirement by purchasing U.S. Treasury securitiesand depositing the securities with its futures commission merchant.Pursuant to some embodiments, commodity pool 110 is not subject to anysubsequent mark-to-market margin requirements.

During the term of the futures contract, commodity pool 110 may increaseor decrease the size of its position in the contract, as necessary, toreflect additional investments and redemptions. Pursuant to someembodiments, commodity pool 110 invests in the margin securities (e.g.,such as Treasury securities) on a passive basis, does not activelymanage the position, and uses the securities solely to margin thefutures position.

Pursuant to some embodiments, the pool's futures commission merchant oragent carries the margin securities in an account established forcommodity pool 110 and posts its own assets (or utilizes a letter ofcredit or the like) to margin the futures position at the applicableclearinghouse. The margin securities will be liquidated only ifnecessary to fund redemptions and additional margin securities will bepurchased if there are new investments in commodity pool 110.

At expiration of the futures contract, commodity pool 110 will receiveany increase in the value of the underlying index and will pay out (outof the 100% margin posted initially) any decrease in such value. Atexpiration, the margin securities will be liquidated. If commodityposition 118 has declined in value, an appropriate portion of theproceeds of the sale of the margin securities will be used to fund thecommodity pool's obligations under the futures contract and theremainder will be distributed to investors 124.

In some embodiments, equity interests of commodity pool 110 are adaptedto be publicly traded, e.g., on a national securities exchange. In someembodiments subject to U.S. regulatory authority, equity interests ofcommodity pool 110 may be registered under the Securities Act of 1933 onForm S-1. In some embodiments, equity interests of public pool 114 areoffered publicly to investors 124 on a continuous basis in large“creation unit” aggregations and are listed on a national securitiesexchange. The equity interests may be traded in the secondary market onan individual, non-aggregated basis. The price of the individual equityinterests or shares may be priced intraday, allowing substantial pricetransparency to investors and the market. In this manner, the sharesissued by the commodity pool 110 are traded with a spread near the netasset value of the pool. In some embodiments, the share price may alsoreflect (e.g., after expenses) an expense ratio built into the price(e.g., which may be accrued on a daily basis or the like).

Referring now to FIG. 2, a transaction process 200 pursuant to someembodiments will be described. As shown, process 200 begins at 202 withthe formation of a commodity pool having a first position in a futurescontract and a corresponding second position in a margin investment.Processing continues at 204 where equity interests of the commodity poolare issued to third party investors. Some or all of the portions oftransaction process 200 may be performed using, or aided by, computingdevices. For example, the issuance of equity interests to the public mayinclude operation of computing device to perform share pricing and othercalculations.

A further embodiment of a commodity pool transaction 300 will now bedescribed by referring to FIG. 3. As depicted, commodity pooltransaction 300 includes interaction between a number of parties,devices or entities. As shown, the transaction involves a commodity pool310 having two tiers of pools: an investing pool 312 and a public pool314. Pursuant to some embodiments, the “investing pool” is a commoditypool established to invest in commodity futures contracts andcorresponding margin investments. The “public pool” is a commodity poolestablished to invest in equity interests of the investing pool. Equityinterests of the public pool are offered (as will be described furtherbelow) to the public. As mentioned above, pursuant to some embodiments,investing pools and public pools established pursuant to the presentinvention are formed in compliance with relevant regulatory authorities.For example, pools established in, or subject to, U.S. regulatoryauthority, may be established in compliance with the U.S. CEA.

As shown, investing pool 312 is formed to establish and hold a commodityposition 318 and a corresponding margin position 316. Public pool 314 isformed to invest in the equity interests of investing pool 312. Equityinterests of public pool 314 are offered to the public and listed on anexchange 320 allowing trade in the secondary market by a plurality ofinvestors 324.

Pursuant to some embodiments, both investing pool 312 and public pool314 are established with a pool operator. For example, in embodimentsimplemented subject to U.S. regulatory authority, the pool operator maybe a so-called commodity pool operator (“CPO”) registered under the CEA.In general, as used herein, a CPO may be an individual or firm that isresponsible for the operation of a commodity pool. Pursuant to someembodiments, the CPO refers to a general partner or managing member of acommodity pool established pursuant to the present invention. Further,both investing pool 312 and public pool 314 may be advised by an advisorsuch as a so-called commodity trading advisor (“CTA”) registered andregulated under the CEA. In general, both investing pool 312 and publicpool 314 are formed to comply with the relevant regulatory authorityapplicable to commodity pools.

In some embodiments, investing pool 312 is organized as a limitedliability entity such as, for example, a limited partnership. In someembodiments, investing pool 312 is formed to qualify for pass-throughtax treatment. Equity interests of investing pool 312 are issued to, andare redeemable by, public pool 314. In some embodiments, equityinterests are also issued to, and are redeemable by, at least one otherentity serving as the CPO, general partner or managing member. In someembodiments, the CPO may invest in some material percentage of theoriginal issuance of shares as a general partner.

Similar to the embodiment discussed in conjunction with FIGS. 1 and 2above, in order to track the performance of a commodity, commodities orcommodities index, investing pool 312 is formed to invest solely incommodities future contracts (as well as corresponding marginpositions). That is, commodity position 318 may be a position in asingle commodity, a number of commodities, or a commodities index. Insome embodiments, commodity position 318 is a position in a long-datedfutures contract on a commodity index and traded on a designatedcontract market. For example, in the U.S., the commodity index is tradedon a market such as the Chicago Mercantile Exchange, the New YorkMercantile Exchange, or the like.

For example, commodity position 318 may be a futures contract having amaturity of approximately five (5) years which provides for a payout atexpiration based on the value of the specified index (for example, theGoldman Sachs Commodity Index®, other proprietary index or the like, ora specially created index). The investing pool's position in the futurescontract may be subject to a 100% initial margin requirement. Investingpool 312 may satisfy this margin requirement by establishing marginposition 316. For example, in some embodiments, investing pool 312satisfies this margin requirement by purchasing U.S. Treasury securitiesand depositing the securities with its futures commission merchant orsimilar agent. Pursuant to some embodiments, investing pool 312 is notsubject to any subsequent mark-to-market margin requirements.

During the term of the futures contract, investing pool 312 may increaseor decrease the size of its position in the contract, as necessary, toreflect additional investments and redemptions (as received throughpublic pool 314 as discussed below). Pursuant to some embodiments,investing pool 312 invests in the margin securities (e.g., such asTreasury securities) on a passive basis, does not actively manage theposition, and uses the securities solely to margin the futures position.

Pursuant to some embodiments, the pool's futures commission merchantcarries the margin securities in an account established for investingpool 312 and posts its own assets (or utilizes a letter of credit or thelike) to margin the futures position at the applicable clearinghouse.The margin securities will be liquidated only if necessary to fundredemptions and additional margin securities will be purchased if thereare new investments in investing pool 312.

At expiration of the futures contract, investing pool 312 will receiveany increase in the value of the underlying index (unless it is rolledas discussed below), and will pay out (out of the 100% margin postedinitially) any decrease in such value. At expiration, the marginsecurities will be liquidated. If commodity position 318 has declined invalue, an appropriate portion of the proceeds of the sale of the marginsecurities will be used to fund the investing pool's obligations underthe futures contract and the remainder will be distributed to publicpool 314 and then to investors 324.

In some embodiments, public pool 314 is formed as a trust to investsolely in the equity securities of investing pool 312. Equity interestsof public pool 314 are adapted to be publicly traded, e.g., on anational securities exchange. In embodiments subject to U.S. regulatoryauthority, equity interests of public pool 314 are registered under theSecurities Act of 1933 on Form S-1. In some embodiments, equityinterests of investing pool 312 may also be registered in a similarmanner. Equity interests of public pool 314 are offered publicly toinvestors 324 on a continuous basis in large “creation unit”aggregations and are listed on a national securities exchange. Theequity interests may be traded in the secondary market on an individual,non-aggregated basis.

A further transaction process 400 pursuant to some embodiments will nowbe described by reference to FIG. 4. As shown, process 400 begins at 402with the formation of an investing pool having a first position in afutures contract and a corresponding second position in a margininvestment. Processing continues at 404 where equity interests of theinvesting pool are issued to a public pool. Processing continues at 406where equity interests of the public pool are issued to third partyinvestors.

As discussed above, some or all of process 400 may involve the use ofcomputing devices. For example, the issuance of equity interests mayinclude the use of computing devices configured to perform pricing andother share calculations. Further, the issuance of equity interests andtrade thereof may involve the use of computing devices to perform orfacilitate trade of the securities. Similarly, any of the participants(such as the investors, the issuer, the exchange, the commodity pool,etc.) may utilize one or more computing devices to evaluate, price,administer, or manage shares issued pursuant to embodiments describedherein.

Referring now to FIG. 5, a system 500 is shown for trading shares issuedpursuant to the present invention (generally referred to herein as“commodity shares”). That is, system 500 is an embodiment of a systemwhich allows a plurality of investors 524 to buy and sell commodityshares issued by a commodity pool as described herein. As shown, system500 includes a number of participants, some or all of which are incommunication over one or more communications networks 512 (such as, forexample, the Internet, wired or wireless telephone networks, or thelike).

System 500 also includes one or more commodity exchanges 502 (e.g., suchas the Chicago Mercantile Exchange, or the like) and one or morenational securities exchanges 503 (e.g., such as the American StockExchange, or the like). For example, in some embodiments, commoditiesexchange 502 may be the Chicago Mercantile Exchange, on which theunderlying commodities and futures contracts trade, and the securitiesexchange 503 may be the American Stock Exchange, on which the publiclytraded interest of the present invention trades.

In general, exchange 502 operates to provide a market for commoditiesand exchange 503 provides a market for the commodity shares issuedpursuant to the present invention. For example, commodities exchange 502allows investors 524 to buy or sell commodity shares from or to otherinvestors 524. Commodities exchange 502 also provides clearing andsettlement functions to ensure that trades involving commodity sharesare completed. Securities exchange 503 supports the trade of publiclytraded interests created pursuant to the present invention. Exchange 503may list and support trade in a number of different commodity shares.For example, each commodity share may be designated by a separate symbolallowing ready identification of orders and prices associated with thecommodity share. Other functions commonly provided by exchanges andknown in the art may also be provided to support trading of commodityshares pursuant to the present invention.

Each commodity share traded on securities exchange 503 may be associatedwith an administrator device 504. Administrator device 504 may be, forexample, operated by or on behalf of, a commodity pool operator asdescribed above. In general, administrator device 504 is configured toperform pricing of commodity shares and perform administrative functionsassociated with the issuance of commodity shares. Each of thesefunctions may be performed using data received from a number of datasources, including margin securities data sources(s) 506, futures marketdata source(s) 508 and commodities market data source(s) 510.

For example, to perform pricing of a commodity share, administratordevice 504 may receive data from commodities market data source(s) 510indicating commodities price information. This price information may bereceived intra-day in substantially real time or on a periodic basis(e.g., such as daily). For a commodity share based on an underlyingindex (e.g., such as the Goldman Sachs Commodity Index® or “GSCI®”), anumber of different commodity prices may be received in order tocalculate a price of the underlying index. For example, the value of theindex may be calculated as the total dollar weight of the index dividedby a normalizing constant. Daily contract reference prices may also beused in this calculation in order to establish a transparent indexprice. Other commodity or commodity index pricing techniques will beapparent to those skilled in the art.

Administrator device 504 also receives input information regardingfutures contract prices from one or more futures market data source(s)508 (e.g., such as from one or more futures exchanges such as exchange502). This information is used in conjunction with the commodity priceinformation described above to calculate a net asset value of thecommodity pool associated with the commodity share. A price of eachshare is then calculated based on the net asset value of the pool andthe number of commodity shares issued from the pool. This informationmay be communicated to securities exchange 503 and/or investors 524 toprovide commodity share price information. In some embodiments, thisprice information may be calculated by securities exchange 503 or otherentities.

Administrator device 504 may also operate to perform pool administrationfunctions. For example, as discussed above, in some embodiments, acommodity share is issued from a commodity pool holding a first positionin a long-dated futures contract and a second position in a marginsecurity, such as U.S. Treasury securities. Administrator device 504 maybe configured to manage rebuys or rolls of these positions. For example,at or near expiration of a long-dated futures contract, administratordevice 504 may facilitate or support the rebuy of a new futures contractprior to expiration. Similarly, administrator device 504 may facilitateor support the purchase of new margin securities as needed.Administrator device 504 may facilitate or support any mark to marketrequirements that arise. Further, device 504 may calculate and track anyfees or expenses associated with the administration of each commodityshare and reflect this in the commodity share price.

Some or all of the components of system 500 may be configured ascomputing devices. For example, referring now to FIG. 6, a computingdevice is shown for use as administrator device 550. In someembodiments, administrator device 550 is operated by one or moreadministrators acting to assist in, or direct the issuance of sharespursuant to embodiments disclosed herein. For example, in someembodiments, administrator device 550 is operated by, or on behalf of,an issuer to price and identify terms associated with the issuance ofshares, to monitor share redemptions, to perform intraday or otherpricing, or the like.

As depicted, administrator device 550 includes a computer processor 554operatively coupled to a communication device 552, a storage device 558,an input device 556 and an output device 557. Communication device 552may be used to facilitate communication with, for example, other devicesand other participants (such as, for example, devices operated byinvestors, issuers, agents, market data providers, etc.)

Input device 556 may comprise, for example, one or more devices used toinput data and information, such as, for example: a keyboard, a keypad,a mouse or other pointing device, a microphone, knob or a switch, aninfra-red (IR) port, etc.

Output device 557 may comprise, for example, one or more devices used tooutput data and information, such as, for example: an IR port, a dockingstation, a display, a speaker, and/or a printer, etc.

Storage device 558 may comprise any appropriate information storagedevice, including combinations of magnetic storage devices (e.g.,magnetic tape and hard disk drives), optical storage devices, and/orsemiconductor memory devices such as Random Access Memory (RAM) devicesand Read Only Memory (ROM) devices.

Storage device 558 stores one or more programs 560 or rule sets forcontrolling processor 554. Processor 558 performs instructions ofprogram 560, and thereby operates in accordance with aspects of thepresent invention. In some embodiments, program 560 includes pricingrules used to evaluate or select terms associated with commodity sharesissued pursuant to embodiments described herein. In some embodiments,program 550 includes rules used to identify the occurrence of eventsassociated with commodity shares issued pursuant to the presentinvention (and to perform administration tasks relating to theoccurrence of the events). For example, rules may be established toperform intraday pricing of shares. As another example, rules may beestablished to calculate expense ratios or other fees associated withthe issuance of shares pursuant to the present invention. As yet anotherexample, rules may be established to facilitate rebuys or rolls offutures contracts and margin securities. In some embodiments, program550 may be configured as a neural-network or other type of program usingtechniques known to those skilled in the art to achieve thefunctionality described herein.

Storage device 558 also stores one or more databases, including, forexample, commodity data 552, margin data 554, share data 556, etc. Forexample, this information may be retrieved from third party data sourcesas shown in FIG. 5. This information may be used, for example, to issueand/or administer commodity shares as described above in conjunctionwith FIG. 5 (or in other manners which will become apparent to thoseskilled in the art.).

Although the present invention has been described with respect to apreferred embodiment thereof, those skilled in the art will note thatvarious substitutions may be made to those embodiments described hereinwithout departing from the spirit and scope of the present invention.With these and other advantages and features of the invention that willbecome hereinafter apparent, the nature of the invention may be moreclearly understood by reference to the above detailed description of theinvention, the appended claims and to the several drawings attachedherein.

1. A method, comprising: forming a commodity pool having a firstsubsidiary pool and a second subsidiary pool, said first subsidiary poolhaving a position in at least a first futures contract and a position inat least a first margin investment; issuing first equity interests ofsaid first subsidiary pool to said second subsidiary pool; issuingsecond equity interests from said second subsidiary pool to investors,said second equity interests adapted for trade on an exchange; andcalculating, on a regular basis, pricing information of said secondequity interests using a computer system, said computer system receivingprice information associated with said at least first futures contractand said at least first margin investment.
 2. The method of claim 1,wherein said at least first margin investment is an investment insecurities approximately equal in size to the position in the at leastfirst futures contract.
 3. The method of claim 1, wherein the at leastfirst margin investment is an investment in Treasury securities.
 4. Themethod of claim 1, wherein the at least a first futures contract is afutures contract traded on a designated contract market.
 5. The methodof claim 4, wherein the futures contract is a long-dated contract on acommodity index and traded on a designated contract market.
 6. Themethod of claim 1, wherein the at least first margin investment is aposition in U.S. Treasury securities, the method further comprising:depositing said position in U.S. Treasury securities with a futurescommission merchant.
 7. The method of claim 1, wherein said issuing saidsecond equity to investors further comprises transmitting said pricinginformation to at least a first exchange.
 8. The method of claim 1,wherein said issuing said second equity interests further comprisesaggregating said second equity interests into creation units and issuingsaid creation units as shares for trade on an exchange.
 9. The method ofclaim 1, further comprising: updating said position in said at leastfirst futures contract based on a number of said second equity interestsissued to investors.
 10. The method of claim 9, further comprising:updating said position in said at least first margin investment based onsaid updated position in said at least first futures contract.
 11. Themethod of claim 1, wherein said computer system receives priceinformation from at least a first data source over a network.
 12. Themethod of claim 1, further comprising: receiving, from a trading deviceinteracting with said exchange, an order to purchase an amount of saidsecond equity interests.
 13. The method of claim 12, wherein saidreceiving an order causes an administrator device associated with saidfirst subsidiary pool to update sad position in said at least firstfutures contract.
 14. An apparatus, comprising: a processor; acommunication device coupled to receive market information from at leasta first market data source, said market information including priceinformation associated with an at least first futures contract and atleast a first margin investment; and a storage device in communicationwith said processor and storing instructions adapted to be executed bysaid processor to: support the formation of a commodity pool having afirst subsidiary pool and a second subsidiary pool, said firstsubsidiary pool having a position in at least the first futures contractand a position in at least the first margin investment; support theissuance of first equity interests of said first subsidiary pool to saidsecond subsidiary pool; support the issuance of second equity interestsfrom said second subsidiary pool to investors, said second equityinterests adapted for trade on an exchange; and calculate, on a regularbasis, pricing information of said second equity interests.